Appendix

Matrix Inequalities

In this appendix we give a summary of several matrix inequalities and

one scalar inequality appearing throughout of this book.

1. Fan-Hoffman's Inequality: (Fan and Hoffman, 1955).

For any square n x n matrix Z the following holds

K(^\^ ) <o,{Z\ \<i<n

where A^ and ai represent, respectively, the eigenvalues and singular

values.

2. Fan's Singular Values Inequalities: (Fan, 1951).

For any two square nxn matrices X, Y the singular values satisfy

i) cT,+;,_i(Xy) < (T,(X)(7fc(y), i , A : > l , i + fc<n + l

ii) a,+fc_i(X + y ) < a , ( X ) + ajt(y), i , A ; > l , j + A;<n + l

3. Horn's Inequality: (Horn, 1950).

For any two real symmetric positive semi-definite matrices we have
k k
n X.iXY) < H A,(X)A,(y), i = 1,2,..., n

243
244 APPENDIX
with equality for k = n. The second part of Horn's inequality is given by
k k
llXn-^+l{XY)>llXn-i+liX)Xn-^+liY), ^ = 1,2,..., 71
i=l i=l

4. Fail's Eigenvalue Summation Inequality: (Fan, 1949).

For any n x n positive semi-definite matrices X and Y the eigenvalues
satisfy

Y,X^iX + Y)<Y,HX) + Y.HY), A; = l,2,...,n

2= 1 i= l 2= 1

with equality for A; =: n. This inequality directly implies another

summation inequality

J2 K-i+i(X + Y)>Y, ^n-i+iiX) + Y, An-2+i(y), A; = 1,2,..., n

2= 1 2= 1 2= 1

Note that these inequalities are not explicitly given in (Fan, 1949), but
they can derived from his results (Garloff, 1986; Hmamed, 1990).

5. Fan's Eigenvalues Product Inequality: (Fan, 1953).

For an n X n matrix X, representing a linear transformation in an unitary
space, if A,{X^ + X) > 0 then
k k
II Xn-^+^ {X^ + X)<Yl2Re{Xn-i+i{X)}, k = 1,2, ...,n
2= 1 2= 1

6. Trace of the Product Inequality:

The following inequality can be found in (Marcus and Mine, 1965;
Kleinman and Athans, 1968). For any two positive semi-definite matrices
X = X^ > 0 and y = y ^ > 0 we have
Xrmn{X)tr{Y) < tviXY) < Xma^^MY)

In (Wang et al, 1986) is shown that the above pair of trace inequalities
is also valid for F = Y^ > 0 and X = X^.
 APPENDIX 245
A stronger upper bound for the trace of the matrix product is obtained
in (Sanjuk and Rhodes, 1987) as

tr(XY) < \tr(XY)\ < ||X||2^r(y)

which is valid for Y = Y^ > 0 and X any square matrix. ||X||2 denotes
the spectral norm (the largest singular value).
New stronger results for the trace of product inequalities are obtained
in (Mori, 1988; Hmamed, 1989) by using the notion of the matrix
measure. For a square matrix X the matrix measure is defined as

fl{X) = 0.5Xma.{X + X^)

Independently, (Mori, 1988) and (Hmamed, 1989) have shown that for
Y = Y^ > 0 and any square matrix X one has

-li{-X)tr{Y) < tr{XY) < fi{X)tr{Y)

Since
-\\X\\,<-fii-X)<fi{X)<\\X\\,

the improvement is obvious. These results are further generalized in

(Fang et al., 1994) to include symmetric but not necessarily positive
semi-definite matrices Y = Y^ and arbitrarily square X. In addition,
it has been also shown that a tighter upper bound can be obtained for
y > 0 than the one of (Mori, 1988; Hmamed, 1989).

7. Mirsky Inequality: (Mirsky, 1959).

For any two real symmetric matrices the following trace inequalities hold
n n
Y,\{X)\n-^^l{Y) < tr{XY) < J2X,{X)X,{Y)
i=l i=l

8. Ostrowski Inequalities:
Ostrowski inequalities (Ostrowski, 1959) for the eigenvalues of a sum of
symmetric matrices and for the eigenvalues of a matrix product.
246 APPENDIX
8.1) Matrix Sum: Let X and Y be symmetric matrices of dimension
n. Then the eigenvalues satisfy

A,(X + Y) = A,(X) + h,, i = 1,2,..., n

where
Xi{Y)>h,>Xn{Y)
or by using notation from Theorem 3.1

A,(X) + Ai(y) > A,(X + Y)> A,(X) + An(y)

8.2) Matrix Product: Let P = P^ and A be square matrices, then

the eigenvalues satisfy

K{A^PA) = X^{AA^P) = ^^A,(P), (7^' > e^ > a'J^

9. Weyl Inequality:
Let X and Y be hermitian matrices of dimension n. Then, the eigen-
values of a matrix sum satisfy

X^^J^n(X + Y)> K{X) + Xj{Y), ij = 1,2,..., n

i+j > n+1

Ai+,_i(X + y ) < Ai(X) + A,(y), ij = 1,2,..., n

i +j < n +1

Weyl inequality can be found in (Amir-Moez, 1956).

10. Amir-Moez Inequality: (Amir-Moez, 1956).

For any n x n positive semi-definite matrices X and Y the following
eigenvalue inequalities hold

Ai+,_:(Xy) < A,(X)A,(F), if i + j<n +l

Xi+j.niXY) > XiiX)\jiY), if i + j>n +l
 APPENDIX 247

11. Coppel's Inequality: (Coppel, 1965).

For any real square n x n matrix X the following is valid

Another version of Coppel's inequality is derived in (Mori et al., 1987)

12. Minkovski Inequality: (Marcus and Mine, 1964).

For any two square matrices the following property of determinant holds

13. Inequality A: (Beckenbach and Bellman, 1965).

Let y = y ^ > 0, X = X ^ > 0, and Y,X e 5?^^^, then determinants
satisfy
\X\ 1/^ _ min
|F| L ^ ' * ^ ^ '

14. Inequality B: (Patel and Toda, 1979).

Let y > 0 and Y,X e 3i"^", then

tr{Y-'XYX^} > f ; | A , ( X ) | 2 > ^[ir{X}f

15. Inequality C: The following matrix inequality can be found in

(Mori, 1986)

A ^ , , ( X ) y y ^ < YXY^ < Xma.{X)YY^, X = X^

16. Scalar Arithmetic-Mean Geometric-Mean Inequality:

/ n l / ^n
\ V n
"^ X^>0
248 APPENDIX

This very well-known inequality can be found in many books, for

example (Mitrinovic, 1970).
Several additional useful matrix inequalities are given in (Patel and
Toda, 1979; Garloff, 1986; Komaroff, 1989). Some scalar inequalities
encountered in the study of bounds of the solution attributes of the
Lyapunov equation can be found in (Komaroff, 1992).

References
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singular values of the sum and product of linear transformation," Duke
Math., J., vol.23, 463-476, 1956.
2. Bechenbach, E. and R. Bellman, Inequalities, Springer Verlag, Berlin, 1965.
3. Coppel, W., Stability and Asymptotic Behavior of Differential Equations,
Heath and Company, Boston, 1965.
4. Fan, K., "On the theorem of Weyl concerning eigenvalues of linear trans-
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 APPENDIX 249

13. Komaroff, N., "Matrix inequalities applicable to estimating solution sizes of

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